I prefer the live class as it feels like I am out dancing with my friends, even if I do not know a single person there. The dvds are great if I don't feel like leaving the house, but I need to get my cardio in.
I prefer being in a class as you usually have more space to do the moves and you won't be distracted by what goes on in your home. I like the energy of the instructor that helps you keep going and also if you get lost you can freestyle a bit or watch everyone around you and catch on. Feeding off the energy of people around you is like working out and having a fun dance party with friends. You can watch yourself if they have a mirrored group fitness room which helps you see what you're doing so your technical, tiny dance moves will get better.
I do it from home. It makes it easier to learn the moves at my pace, and rewind if needed. I feel like it's a really good workout. The moves are all very fun, and it's a lot less boring than riding a treadmill for 30 minutes!